BPCE - Risk Report - Pillar III 2020

8

MARKET RISKS

QUANTITATIVE DISCLOSURES

Trading book stress test results

BPCE33 – MAIN HYPOTHETICAL STRESS TESTS

Default by an influential corporation

Liquidity crisis

Increase in interest rates

Default by a

Emerging crisis

bank Commodities

Natixis

100

(27) (4.9)

20

31

21

8

BRED

4.5

(2.9)

(10.6)

0.6

(1.4)

BPCE subsidiaries

0

0

0

0

0

0

BPCE

104.5

(31.9)

17.1

20.4

21.6

6.6

The most sensitive hypothetical stress test is the “Increase in interest rates” scenario.

BPCE34 – MAIN HISTORICAL STRESS TESTS

2011 sovereign debt crisis

Subprime 07 ABS & MBS 08

08 Lehman

11 Sep 01

in millions of euros

Natixis

(82)

48

25

(26)

64

BRED

0.8

4.4

1.2

7.3

14.8

BPCE subsidiaries

0

0

0

0

0

BPCE

(81.2)

52.4

26.2

(18.7)

78.8

The historical scenario generating the highest impact for the Group and for Natixis Corporate & Investment Banking is the 2011 sovereign crisis.

BPCE35 – GROUP STRESS TEST AVERAGE FOR 2020

100 in millions of euros

0 20 40 60 80

-80 -60 -40 -20

1980 Gulf war

Liquidity crisis

1997 Asian crisis

1998 LTCM crisis

Default by a bank

2002 credit crunch

September 11, 2001

2008 Lehman crisis

Commodities crisis

2008 ABS & MBS crisis

Emerging market crisis

2009 stock market rally

Increase in interest rate

1987 stock market crash

1994 bond market crash

2011 sovereign debt crisis

Fall in stock market indices

Default by an influential corp.

FED post-07 subprime crisis measures

180

RISK REPORT PILLAR III 2020 | GROUPE BPCE

www.groupebpce.com